ALM Modeling and Balance Sheet Optimization: A Mathematical Approach to Banking
Diogo Gobira, "ALM Modeling and Balance Sheet Optimization: A Mathematical Approach to Banking "
English | ISBN: 3110664224 | 2023 | 204 pages | EPUB, PDF | 8 MB + 3 MB
English | ISBN: 3110664224 | 2023 | 204 pages | EPUB, PDF | 8 MB + 3 MB
ALM Modeling and Balance Sheet Optimization is a comprehensive book that combines theoretical exploration with practical guidance and code examples on implementing a balance sheet optimization model. The book emphasizes the use of stochastic dynamic programming to develop a deep and holistic understanding of the banking problem. Encompassing the entire implementation stack - spanning from data layers to the specification of decision variables, business and regulatory constraints, objective functions, modeling strategies, solving techniques, debugging, and reporting - this book serves as a comprehensive guide for constructing highly effective balance optimization models from scratch, enabling the maximization of banking outcomes.
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